Implementable algorithm for stochastic optimization using sample average approximations
DOI10.1023/B:JOTA.0000041734.06199.71zbMATH Open1129.90334OpenAlexW2055661359MaRDI QIDQ852151FDOQ852151
Authors: Johannes O. Royset, Elijah Polak 
Publication date: 27 November 2006
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1023/b:jota.0000041734.06199.71
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stochastic optimizationMonte Carlo simulationssample average approximationsreliability-based optimal designs
Stochastic programming (90C15) Numerical methods for mathematical programming, optimization and variational techniques (65K99)
Cites Work
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- Solving stochastic structural optimization problems by RSM-based stochastic approximation methods -- gradient estimation in case of intermediate variables
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Cited In (19)
- Gradient formulae for probability functions depending on a heterogenous family of constraints
- A discussion of probability functions and constraints from a variational perspective
- Generalized differentiation of probability functions: parameter dependent sets given by intersections of convex sets and complements of convex sets
- An inner-outer approximation approach to chance constrained optimization
- (Sub-)differentiability of probability functions with elliptical distributions
- Computational methods in optimization considering uncertainties - An overview
- Gradient formulae for nonlinear probabilistic constraints with non-convex quadratic forms
- Extensions of stochastic optimization results to problems with system failure probability functions
- An efficient framework for optimal robust stochastic system design using stochastic simulation
- Advances and applications of chance-constrained approaches to systems optimisation under uncertainty
- Probability functions generated by set-valued mappings: a study of first order information
- The sample average approximation method for stochastic discrete optimization
- Reliability-based optimization of stochastic systems using line search
- Derivatives of probability functions: unions of polyhedra and elliptical distributions
- A survey on approaches for reliability-based optimization
- On sample size control in sample average approximations for solving smooth stochastic programs
- Generalized differentiation of probability functions acting on an infinite system of constraints
- (Sub-)gradient formulae for probability functions of random inequality systems under Gaussian distribution
- An approximation scheme for uncertain minimax optimal control problems
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